Is it ethical to implement self-defence for street walking AI robots?
The question mentions "walking robot", but it may be illustrative to re-frame the discussion in terms of self-driving cars, because: 


It gives a common point of reference, rather than everyone having their own separate vision of how vulnerable/powerful a kung-fu walking robot might be.
We already know a lot about societal attitudes to car theft.
Given that autonomous vehicles will soon be mainstream, the morality of the question is then more of a pressing issue.


So, should a self-driving car run someone over (likely killing them) if they try to steal it? I'm hoping that few people would argue that it should.

Should it attempt to do a lesser amount of damage (say, calculated to hopefully only break a leg)?

Again, I'd argue not. The main reason for saying this is that our decision-making algorithms are simply not sufficiently context aware to be able to decide whether theft or harm is the intent. To concretely illustrate this: a recent fatality arose because a self-driving Tesla was oblivious to context to the extent that it couldn't distinguish between a high-sided van and empty space.

Under those circumstances, it's probably best not to allow commercial autonomous systems to cause physical damage (even to inanimate objects). 

'Running away' (or rather, 'driving away', in the case of the car) is another matter: driving is what it's designed to do.